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20140310151459.0 |
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130321s2013 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642335907 |
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978-3-642-33590-7 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
QA273.A1-274.9 |
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|---|
| Classification number |
QA274-274.9 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| -- |
2013. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rüschendorf, Ludger. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Mathematical Risk Analysis |
| Medium |
[electronic resource] : |
| Remainder of title |
Dependence, Risk Bounds, Optimal Allocations and Portfolios / |
| Statement of responsibility, etc |
by Ludger Rüschendorf. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XII, 408 p. 12 illus. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Series in Operations Research and Financial Engineering, |
| International Standard Serial Number |
1431-8598 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform -- 2 Fréchet Classes, Risk Bounds, and Duality Theory -- 3 Convex Order, Excess of Loss, and Comonotonicity -- 4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio -- 5 Restrictions on the Dependence Structure -- 6 Dependence Orderings of Risk Vectors and Portfolios -- Part II: Risk Measures and Worst Case Portfolios -- 7 Risk Measures for Real Risks -- 8 Risk Measures for Portfolio Vectors -- 9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation -- Part III: Optimal Risk Allocation -- 10 Optimal Allocations and Pareto Equilibrium -- 11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- 12 Optimal Contingent Claims and (Re)Insurance Contracts -- Part IV: Optimal Portfolios and Extreme Risks -- 13 Optimal Portfolio Diversification w.r.t. Extreme Risks -- 14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses -- References -- List of Symbols -- Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Mathematics. |
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| Topical term or geographic name as entry element |
Finance. |
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| Topical term or geographic name as entry element |
Distribution (Probability theory). |
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| Topical term or geographic name as entry element |
Economics |
| General subdivision |
Statistics. |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
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| Topical term or geographic name as entry element |
Quantitative Finance. |
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| Topical term or geographic name as entry element |
Actuarial Sciences. |
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|---|
| Topical term or geographic name as entry element |
Applications of Mathematics. |
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|---|
| Topical term or geographic name as entry element |
Operations Research, Management Science. |
|
|---|
| Topical term or geographic name as entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642335891 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-33590-7 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
